Quantile regression version of Hodrick-Prescott filter
Quantile regression version of Hodrick-Prescott filter
复制标题
Hodrick-Prescott 滤波器的分位数回归版本
DOI：
10.1007/s00181-022-02292-8
复制
发表时间：
2022
影响因子：
3.2
通讯作者：
Hiroshi Yamada
中科院分区：
文献类型：
--
作者：
Hiroshi Yamada
Hodrick-Prescott（HP）滤波器是一种流行的趋势滤波方法，适用于真实的国内生产总值（GDP）等单变量宏观经济时间序列。本文研究了分位数回归型HP滤波器（qHP滤波器），它是用分位数回归损失函数代替HP滤波器的二次损失函数而定义的一种滤波方法。分位数回归的一个基本性质是，如果回归包含截距，则负残差的比率几乎可以控制。建议的qHP滤波器是否也具有该特性？本文回答了这一问题。除了主要的结果，我们提供了一个实证说明。
Hodrick–Prescott (HP) filter is a popular trend filtering method for univariate macroeconomic time series such as real gross domestic product. This paper considers the quantile regression version of HP filter (qHP filter), which is a filtering method defined by replacing quadratic loss function of HP filter with quantile regression loss function. One of the essential properties of quantile regression is that if the regression includes intercept, then the ratio of negative residuals can be almost controlled. Does the suggested qHP filter also have the property? This paper answers this question. In addition to the main result, we provide an empirical illustration.